NO.PZ202108100100000301
问题如下：
Which of Doyle’s statements regarding the Eurodollar futures contract price is
correct?
选项：
A.Only Statement 1
Only Statement 2
Both Statement 1 and Statement 2
解释：
C is correct.
Doyle’s first statement is correct. Unless the Eurodollar futures
contract’s quoted price is equal to the no-arbitrage futures price, there is an
arbitrage opportunity. Moreover, if the quoted futures price is less than the no arbitrage futures price, then to take advantage of the arbitrage opportunity, the
Eurodollar futures contract should be purchased and the underlying Eurodollar
bond should be sold short. Doyle would then lend the short sale proceeds at
the risk-free rate. The strategy that comprises those transactions is known as
reverse carry arbitrage.
Doyle’s second statement is also correct. Based on the cost of carry model, the
futures price is calculated as the future value of the sum of the underlying plus
the underlying carry costs minus the future value of any ownership benefits. If
the Eurodollar bond’s interest payment was expected in five months instead of
two, the benefit of the cash flow would occur three months later, so the future
value of the benefits term would be slightly lower. Therefore, the Eurodollar
futures contract price would be slightly higher if the Eurodollar bond’s interest
payment was expected in five months instead of two months.
A is incorrect because Doyle’s Statement 2 is correct (not incorrect). Based
on the cost of carry model, the futures price would be higher if the underlying
Eurodollar bond’s interest payment took place in five months instead of two
months.
B is incorrect because Doyle’s Statement 1 is correct (not incorrect). If the
Eurodollar’s futures contract price is less than the price suggested by the carry
arbitrage model, the futures contract should be purchased.
中文解析：
表述1：由无套利模型定价得到的期货的价格是合理定价，现在市场上欧洲美元期货的价格低于这个合理定价，则买低卖高，因此应该买入，表述正确。
表述2：期货价格=FV(S0 +CC-CB)，CC表示carry cost，CB表示carry benefit。
interest payment属于CB，如果利息支付发生在5个月而非2个月后,则CB的FV会因为后期复利的时间缩短了3个月而降低，考虑到CB作为减项，其减少将会导致期货价格上升，因此表述正确。
如果持有bond，在到期时用FP的价格卖出bond，不应该是FP越高越好么，为什么FP降价的时候买future呢？
